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Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure. The aim of the model validation team is to (1) limit the Bank's exposure to model risk by regularly validating all relevant models as mandated; (2) provide in-depth analysis and comments for Senior Management and (3) meet regulatory expectations in this regard. Responsibilities
As a core member in the team, the successful candidate will undertake the following responsibilities:
Under appropriate supervision,
Critically assess the development and performance of all retail scoring / rating models, including retail segmentation models used for capital computational purposes as mandated within the Bank.
Contribute towards the assessment of inputs, assumptions and parameter estimates relating to the validation of the credit portfolio risk model, as well as models for stress testing.
Provide well-considered documentation that clearly articulate validation findings and recommendations
Contribute towards developing strong professional relationship within and across validation teams as well with as well with model developers.
Degree in a quantitative discipline, such as Statistics, Mathematics, Quantitative Finance, Data Analytics or equivalent
1-3 years of risk modelling experience
Outstanding quantitative skills (including working knowledge of statistical/ database languages/software such as Python, R, SQL, Excel & VBA)
Self-motivated and a desire to learn and develop professionally
Able to contribute towards team building and maintaining team morale
Reasonably good communication skills (both spoken and written)
Able to work in a team and under pressure.
Reasonable understanding of Basel II and local regulatory requirements is an advantage
Apply Now We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.